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lgh0504's Projects

numexpr icon numexpr

Fast numerical array expression evaluator for Python, NumPy, PyTables, pandas, bcolz and more

openalpha icon openalpha

An open source equity statistical arbitrage backtest simulator, use the same API as WorldQuant's WebSim https://www.worldquantvrc.com/en/cms/wqc/websim

opensourcetradeengine icon opensourcetradeengine

This program serves as a basis for an open source order/trade matching application. It will take in a stream of orders (Market, Limit, or Remove) and match them up.

orbit icon orbit

A Python package for Bayesian forecasting with object-oriented design and probabilistic models under the hood.

orderbooksimulatorwithopencl icon orderbooksimulatorwithopencl

This project is to simulate the effects of high frequency trading on a stock. This is the code for the order book as well as 'traders' which will place orders on the market. The design will be as parallel as possible using OpenCL and a GPU to parallelise processing.

pe-hft-python icon pe-hft-python

Python library for high frequency portfolio analysis, intraday backtesting and optimization

performance icon performance

Collection of documents related to low-latency trading and tunings for performance

personae icon personae

📈 Personae is a repo of implements and environment of Deep Reinforcement Learning & Supervised Learning for Quantitative Trading.

phoenixgo icon phoenixgo

Go AI program which implements the AlphaGo Zero paper

pscbfm icon pscbfm

Optimized CUDA Version of the Parallel Bond Fluctuation Model

pybacktest icon pybacktest

Vectorized backtesting framework in Python / pandas, designed to make your backtesting easier — compact, simple and fast

pybbg icon pybbg

Bloomberg Open API with pandas

pyfolio icon pyfolio

Portfolio and risk analytics in Python

pyopy icon pyopy

Python bindings to interesting matlab libraries for data analysis

pypbo icon pypbo

Probability of Backtest Overfitting in Python

pytables icon pytables

A Python package to manage extremely large amounts of data

pythonmatchingengine icon pythonmatchingengine

High performance trading Matching Engine / Market Simulator using Level 3 Market Data for realistic simulation of High Frequency Trading Strategies

pytorch-a2c icon pytorch-a2c

General implementation of Advantage Actor Critic using Pytorch

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